In a large bowl, whisk together flour, sugar, baking powder, and salt. Cut in butter or margarine until crumbly. Make a well in the center. Beat egg until light and frothy, and mix in milk; pour all at once into well. Stir lightly to form a soft dough. Add more milk if needed.

Turn dough out onto a floured surface, and knead 8 to 10 times. Pat or roll out to 3/4 inch thickness. Using a round cookie cutter, push straight down to cut. Arrange well apart on a greased baking sheet. Make a deep hollow in the center of each biscuit. Drop a small spoonful of jam into each hollow.

Bake in a preheated 450 degrees F (230 degrees C) oven for 12 to 15 minutes. Serve hot.